endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th … Zeitraums. Sie basiert auf einem bisher nicht ausgewerteten Datensatz des Bundesamts für den Wertpapierhandel, der jede einzelne …

trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …